Dear Sirs, some time ago I bougth a trading strategy from a well known web site.
I would like to ask to the forum if Amibroker is able to perform a backtest so sofisticated.
Consider a portoflio composed by all the stocks included in a specific index (Russell 1000 or SP500 or whatsoever you want).
Basically, it is a 2 step process:
I° step: after the close of the session, esploration of the portfolio to filter the stock that meet a specific set up criteria for buying
II° step: perform a series of backtest picking the stocks (see later) randomly from the set up list coming from the exploration, because the number of free slot I have generally is smaller than the number of the stocks that meet the set up. In this way I can explore all the possible combination (or at leat, a good part) simulating the real trading.
Example: at the beginning I have an account of 10000 $ that I split in 10 slot of 1000 $ each. As time goes by and on a specific day suppose that the account has grown. The value of each slot will be equity/10 and some one will be free for trading while other will not. In that day for example there will be free only 4 slot and therefore I’ll have to perform a lot of backtest picking from the set up list, randomly, group of 4 stocks. That’s all.
I hope to have been able to explain.
@gibasse One way to test random stock selection is with random position score. If you want to repeat the test many times, you can optimize an unused variable with a wide range of possible values. When the position score is random, each optimization step will produce different results. You could export the optimization results to a spreadsheet for further analysis.